2013/09/13 by Karol Wawrzyniak, Wawrzyniak, Karol, Wojciech Wiślicki +1
Economics, Econometrics and Finance · Mathematics · #Applications (stat.AP) #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Statistics Theory (math.ST) #Trading and Market Microstructure (q-fin.TR) #math.ST #q-fin.TR #stat.AP #stat.TH
paper · pdf · doi:10.48550/arxiv.1309.3399
arxiv created 2013/09/13 · arxiv updated 2013/09/16
In this paper the extended model of Minority game (MG), incorporating variable number of agents and therefore called Grand Canonical, is used for prediction. We proved that the best MG-based predictor is constituted by a tremendously degenerated system, when only one agent is involved. The prediction is the most efficient if the agent is equipped with all strategies from the Full Strategy Space. Each of these filters is evaluated and, in each step, the best one is chosen. Despite the casual simplicity of the method its usefulness is invaluable in many cases including real problems. The significant power of the method lies in its ability to fast adaptation if λ-GCMG modification is used. The success rate of prediction is sensitive to the properly set memory length. We considered the feasibility of prediction for the Minority and Majority games. These two games are driven by different dynamics when self-generated time series are considered. Both dynamics tend to be the same when a feedback effect is removed and an exogenous signal is applied.